Vis enkel innførsel

dc.contributor.authorHarvey, Andrew
dc.contributor.authorSucarrat, Genaro
dc.date.accessioned2015-10-05T11:19:44Z
dc.date.available2015-10-05T11:19:44Z
dc.date.issued2015
dc.identifier.citationComputational Statistics and Data Analysis, 76(2014): 320-338nb_NO
dc.identifier.issn0167-9473
dc.identifier.issn1872-7352
dc.identifier.urihttp://hdl.handle.net/11250/2349731
dc.descriptionThis is the manuscript to the article first published in Cambridge Working Papers in Economics: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1236.pdfnb_NO
dc.description.abstractAn EGARCH model in which the conditional distribution is heavy- tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribu- tion of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better t than the correspond- ing skewed-t GARCH model.nb_NO
dc.language.isoengnb_NO
dc.publisherElseviernb_NO
dc.titleEGARCH models with fat tails, skewness and leveragenb_NO
dc.typeJournal articlenb_NO
dc.source.journalComputational Statistics and Data Analysisnb_NO
dc.identifier.doi10.1016/j.csda.2013.09.022
dc.description.localcode1,Forsidenb_NO


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel